CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0906	2.48**
αARCH	0.3396	4.51***
βGARCH	0.6317	8.15***
γleverage	-0.0714	-1.20
δpower	1.3094	2.66***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0906	2.48**
α ARCH Response to squared shocks	0.3396	4.51***
β GARCH Volatility persistence	0.6317	8.15***
γ leverage Additional response to negative shocks	-0.0714	-1.20
δ power Transformation power	1.3094	2.66***

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